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Non-negative martingale calculation

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Reference no: EM13830271

Problem:

Let (Xn) be a martingale with supnE|Xn| < ∞. Show that there  is a representation Xn  = Yn - Zn where (Yn) and (Zn) are non-negative martingales such that supn EYn < ∞ and supn EZn < ∞

Additional Information:

This problem is basically from Mathematics as well as it is about non-negative martingale calculation

 

Reference no: EM13830271

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